Sacramento County's 7.2% fiscal-year return tops benchmark

Sacramento County (Calif.) Employees’ Retirement Association returned a gross 7.2% for the fiscal year ended June 30, CEO Eric Stern said in an email.

The $9.7 billion pension fund’s return was ahead of its policy benchmark return of 6.3%.

For the three and five years ended June 30, the pension fund returned an annualized gross 10.4% and 6.5% respectively, ahead of the respective benchmark returns of 8.7% and 6.1%.

For the fiscal year ended June 30, 2018, the pension fund returned a gross 10.1%.

Among the asset classes for which gross returns were reported, core/core-plus fixed income led the way with 8.6%, above its policy benchmark of 7.9%, followed by U.S. Treasuries, which returned 7.2%, equal to its policy benchmark return.

Public equities followed, with a gross return of 6.1% for the fiscal year ended June 30, above its policy benchmark return of 5.7%. Global fixed income returned a gross 5%, below its benchmark of 6.3%;  public credit returned 2.4%, below its benchmark return of 5.9%; the diversifying absolute-return portfolio returned 0.3%, below its benchmark return of 2.1%; and the growth-oriented absolute-return portfolio returned zero, below its benchmark return of 2.2%. Commodities returned a gross -8.1% for the fiscal year ended June 30, below its benchmark return of -6.8%.

Private credit, private equity, real assets and real estate returns lag by one quarter.

The target allocation is: 21% domestic equities; 20% international equities; 10% core/core-plus fixed income; 9% private equity; 7% each, diversifying absolute return, private real assets and real estate; 5% U.S. Treasuries; 4% private credit; 3% global fixed income and growth-oriented absolute return; and 2% each, commodities and public credit.

As of June 30, the actual allocation was: 19.8% domestic equities; 19.7% international equities; 9.6% private equity; 9.4% core and core-plus fixed income; 9% real estate; 7.1% diversifying absolute return; 5.2% private real assets; 4.9% U.S. treasuries; 4% private credit; 3% cash and other, global fixed income and growth-oriented absolute return; 2% public credit; 0.3% commodities and the rest in opportunities.